Parameter risk in time-series mortality forecasts

DOI10.1080/03461238.2016.1255655zbMath1402.91202OpenAlexW2552349598MaRDI QIDQ4577206

Stephen J. Richards, Torsten Kleinow

Publication date: 17 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2016.1255655

zbMATH Keywords

ARIMA modelsSolvency IIparameter riskVaRmortality projectionsCTE

Mathematics Subject Classification ID

Related Items (3)

POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ The dependency premium based on a multifactor model for dependent mortality data

Uses Software

• R

Cites Work

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• Bootstrap predictive inference for ARIMA processes
• Smoothing constrained generalized linear models with an application to the Lee-Carter model
• Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
• A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States

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